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What’s behind PG&E’s Recent Implied Volatility Surge?

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Implied volatility

With PG&E’s (PCG) 17% fall in the last two trading sessions, the stock’s implied volatility reached a high of 39% on October 13, 2017. Its 15-day average implied volatility is near 15%.

Implied volatility characterizes investor anxiety and higher implied volatility associated with a fall in the stock prices.

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Among PG&E’s peers, NRG Energy (NRG) had an implied volatility of 43% on October 13, 2017. NRG is the most volatile stock and the smallest component of the S&P 500 Utilities Index (XLU). PG&E’s huge surge in implied volatility underlines investor unease after the wildfires in California set the stock burning.

In comparison, the Utilities Select Sector SPDR ETF (XLU) had an implied volatility of 10.5%, which is close to its 15-day average implied volatility.

In the final part of this series, let’s look at price targets and analysts’ views on PG&E.

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